I am using PSoC4 CapSense_2.10. I would like to carry out an action like turn an LED on when the sliding gesture is carried out on a slider or any capsense widget.

By sliding gesture I mean that all the capacitive sensing elements in the slider have to touched in a sequence or the finger has to slide through all of them to recognize the slide gesture. Is this possible with any CapSense Widget?

There is no specific API to decode the gesture for this component, so you have to do your own logic. One other option is use CapSense_Gestures component available in the BLE devices which have gesture decoding capability for touchpad which you can use for slider also.